project_FICC_Quant

modeling with FICC products with QuantLib

1. Black Scholes Merton Equation

[code] https://github.com/QuhiQuhihi/project_FICC_Quant/blob/main/1_black_scholes.ipynb
[blog] https://quhiquhihi.github.io/posts/Black_Scholes_Merton/

2. Yield Curve

[code] https://github.com/QuhiQuhihi/project_FICC_Quant/blob/main/2_yield_curve.ipynb
[blog] https://quhiquhihi.github.io/posts/Yield_Curve/

3. Inverted Yield Curve

[code] https://github.com/QuhiQuhihi/project_FICC_Quant/blob/main/3_inverted_rate_curve.ipynb

4. Treasury Pricing

[code] https://github.com/QuhiQuhihi/project_FICC_Quant/blob/main/4_treasury_pricing.ipynb
[blog] https://quhiquhihi.github.io/posts/Treasury_Pricing/

5. Greeks for Bond

[code] https://github.com/QuhiQuhihi/project_FICC_Quant/blob/main/5_greeks_for_bond.ipynb

6. Swap Curve

[code] https://github.com/QuhiQuhihi/project_FICC_Quant/blob/main/6_swap_curve.ipynb

7. Forward Rate Agreement (FRA)

[code] https://github.com/QuhiQuhihi/project_FICC_Quant/blob/main/7_forward_rate_agreement.ipynb

8. Interest Rate Swap (IRS)

[code] https://github.com/QuhiQuhihi/project_FICC_Quant/blob/main/8_Interesr_Rate_Swap.ipynb
[blog] https://quhiquhihi.github.io/posts/Interest_Rate_Swap/

9. Fx Forward

[code] hhttps://github.com/QuhiQuhihi/project_FICC_Quant/blob/main/9_FX_forward.ipynb

Environment

Use python 3.8.10 Download from Anaconda.org